Brand new to MAME, having trouble with keyboard input

Hi folks,
Brand new to MAME, and I'm trying to get a couple of things worked out. I have been able to get a couple of ROMs for old arcade games that no one makes anymore, and I can get the games to run, but I can't get any sort of control.

I am running the 0.164 version of MAME on Win10 that I downloaded from this site and using a Logitech wireless keyboard. The keyboard input works fine for interacting with the MAME software, but when the game is running nothing I hit works except for [p] which pauses and [esc] which exits. Is there something everyone knows but me? Also, since I ultimately hope to get the games working on an arcade stick, is there anyone who can recommend good software for using a game controller with MAME?

I know this board is filled with a thousand noob posts, so I greatly appreciate anyone taking the time to help me out.

Cheers.